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  • Динамическая оптимизация инвестиционного портфеля с использованием парных копул на примере основных фондовых рынков Европы

Article

Динамическая оптимизация инвестиционного портфеля с использованием парных копул на примере основных фондовых рынков Европы

Прикладная эконометрика. 2015. Т. 4. № 40. С. 84-105.
Ацканов И. А.

This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio is upgrading accordingly. The portfolio is then compared with two benchmarks in terms of return and risk. As a result the proposed procedure provides better performance. Also, the paper studies building a portfolio with short positions